Yes, most of you will lose it if you bought the game in other place than Steam or authorized retail stores. So if you bought your Modern Warfare 2 key of OnlineKeyStore or something similar (maybe G2Play?) you will lose your game from the Steam games list and you will never get it back!
Here’s a link to Steam Powered forums: http://forums.steampowered.com/forums/showthread.php?t=1031758
And here’s BurtonJ’s response:
Also right now it seems like he’s saying "You have to buy games in our 300% more expensive store, sorry mate."